Prove that, for (delta>2), the default of martingality of (R^{2-delta}) (where (R) is a Bessel process of

Question:

Prove that, for $\delta>2$, the default of martingality of $R^{2-\delta}$ (where $R$ is a Bessel process of dimension $\delta$ starting from $x$ ) is given by

\[\mathbb{E}\left(R_{0}^{2-\delta}-R_{t}^{2-\delta}\right)=x^{2-\delta} \mathbb{P}^{4-\delta}\left(T_{0} \leq t\right) \]

Prove that